Publications related to Volatility (finance)

Machine Learning for Modeling Stock Returns

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Demand-based Asset Pricing: Theory, Estimation and Applications

Philippe van der Beck

This thesis investigates the relationship between investors' demand shocks and asset prices through the use of data on portfolio holdings. In three chapters, I study the theory, estimation, and application of demand-based asset pricing models, which incorp ...

EPFL2023

Heat pumping and renewable energy integration for decarbonizing brewery industry and district heating

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos

The energy integration of brewery plants and urban agglomerations has many benefits in terms of rational energy use and reduced environmental impact, especially during scenarios of uncertain supply chain and volatile market prices. In fact, the diversifica ...

Elsevier2023

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Inference and Computation for Sparsely Sampled Random Surfaces

Victor Panaretos, Tomas Rubin, Tomas Masák

Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...

TAYLOR & FRANCIS INC2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

EPFL2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

EPFL2022

Essays on the Role of Policy and Venture Financing in Clean Technology Innovation

Matthias David van den Heuvel

This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...

EPFL2022

Elemental and Thermo-gravimetric Characterization of Trace Metals in Leaves and Soils as Bioindicators of Pollution in Kyiv City

Christian Ludwig, Ajay Bhagwan Patil, Mohamed Tarik

In this study, leaf and soil samples were used as bio-monitors for different alkali and heavy metals at six different locations in Kyiv city. Using x–y plots of the inductively coupled plasma optical emission spectroscopy (ICP-OES) data measured the discre ...

2021

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2021

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches

Sebastian Maier

The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...

2021

High-Frequency Analysis Of Parabolic Stochastic Pdes

Carsten Hao Ye Chong

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at high temporal frequency, we use limit theorems for multipower variations and related functionals to ...

INST MATHEMATICAL STATISTICS2020

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

Physical vapour deposition of cyanine salts and their first application in organic electronic devices

Frank Nüesch, Jakob Heier, Antonia Neels, Léo Duchêne, Donatas Gesevicius

A symmetrical trimethine indocyanine dye chromophore was modified with the bistriflylimide anion to study the changes in Coulomb interactions, thermal stability and the volatility of the organic salt. The bulky bistriflylimide anion minimizes electrostatic ...

Royal Society of Chemistry2019

The Jacobi stochastic volatility model

Damien Edouard Ackerer, Damir Filipovic, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Technologies for Integration of Large-Scale Distributed Generation and Volatile Loads in Distribution Grids

Jean-Yves Le Boudec, Mario Paolone, Jagdish Prasad Achara

As fossil fuel reserves are limited in stock and there is an urgent call to reduce the carbon footprint, distribution grids urgently need to move towards heavy use of local and distributed generation of electricity using renewable energy sources. Another p ...

2018

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017